SABR and SABR LIBOR Market Models in Practice - With Examples Implemented in Python (Hardcover, 1st ed. 2015)

, ,
Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model a la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives. SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products and the extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.

R2,651

Or split into 4x interest-free payments of 25% on orders over R50
Learn more

Discovery Miles26510
Mobicred@R248pm x 12* Mobicred Info
Free Delivery
Delivery AdviceShips in 10 - 15 working days


Toggle WishListAdd to wish list
Review this Item

Product Description

Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model a la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives. SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products and the extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.

Customer Reviews

No reviews or ratings yet - be the first to create one!

Product Details

General

Imprint

Palgrave Macmillan

Country of origin

United Kingdom

Series

Applied Quantitative Finance

Release date

October 2015

Availability

Expected to ship within 10 - 15 working days

Authors

, ,

Dimensions

235 x 155 x 23mm (L x W x T)

Format

Hardcover

Pages

216

Edition

1st ed. 2015

ISBN-13

978-1-137-37863-7

Barcode

9781137378637

Categories

LSN

1-137-37863-8



Trending On Loot